Trend-Following Backtester · Guide · backtest 한국어
equity · US
CareDx, Inc. backtest
10 trend-following strategies were compared on the full daily history of CareDx, Inc.. 10 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 41.0%, MDD -33.2%).
Results by strategy
10 of 10 beat buy and hold (CAGR 13.9%, drawdown -94.9%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 41.0%, MDD -33.2%, Sharpe 1.11, 22% exposure.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 27.1%p higher than buy and hold, while drawdown improves by 61.7%p (CAGR 41.0%, MDD -33.2%, exposure 22%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=37, k=2.7 |
41.0% | -33.2% | 1.11 | 1.24 | 62.6x | 27 | 22% |
| ADX / DI 방향성 period=30, threshold=23 |
35.3% | -40.6% | 1.04 | 0.87 | 38.2x | 31 | 19% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=24, mult=2 |
34.1% | -43.0% | 0.96 | 0.79 | 34.2x | 55 | 22% |
| Donchian 채널 돌파 entryN=42, exitN=11 |
34.2% | -42.1% | 0.94 | 0.81 | 34.6x | 41 | 25% |
| ROC 모멘텀 n=134, threshold=0.06 |
39.4% | -53.2% | 0.93 | 0.74 | 54.6x | 65 | 42% |
| SMA 크로스오버 fast=55, slow=170 |
39.5% | -51.4% | 0.92 | 0.77 | 55.0x | 11 | 44% |
| EMA 크로스오버 fast=56, slow=192 |
32.4% | -53.9% | 0.84 | 0.60 | 29.4x | 9 | 41% |
| MACD fast=21, slow=23, signal=16 |
26.4% | -82.3% | 0.69 | 0.32 | 16.8x | 135 | 53% |
| Supertrend period=10, mult=3.6 |
23.6% | -73.2% | 0.67 | 0.32 | 12.9x | 51 | 45% |
| Parabolic SAR step=0.01, maxStep=0.18 |
23.4% | -86.7% | 0.66 | 0.27 | 12.6x | 140 | 50% |
| Buy and hold | 13.9% | -94.9% | 0.56 | 0.15 | 4.8x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 37-day average (2.7× volatility)
- Sell — Sell when the close falls back to the 37-day middle average